[R-SIG-Finance] parma - What kind of portfolio do I get ?

[u0055 at wolke7.net]

Dear R-SIGs,

Thanks for explaining the meaning of "targetType".
I'm using this code snippet:

######
	require( parma )
	require( corpcor )
	# ...
	means = colMeans( data )
	S = cov( data )
	if( ! is.positive.definite( S )) S = make.positive.definite( S )
	spec = parmaspec(
		S=S,
		risk='EV',
		riskType='minrisk',
		target=min( means ), # <-----------------------
		targetType='inequality',
		forecast=means )
	p = parmasolve( spec, solver='SOCP' )
	reward = parmareward( p )
	risk = parmarisk( p )
######

I get good results and would like to know,
what kind of portfolio I'm getting.
I guess the result portfolio (reward and risk) is on the frontier.
I don't think it is the mean risk portfolio,
because the result depends on parameter "target".
The "best" results I get with: target=min( means ).
Worse results I get with: target=0.
All I know is, that reward >= target.
But how is the reward and the portfolio calculated ?

Thanks in advance,
Uwe